New York Day 4 - October 6
Portfolio analysis and construction:
with David Jessop, Managing Director, Global Head of Equities Quantitative Research, UBS
09:00 Registration and coffee
09:30 Risk models and risk analysis
- Building an equity risk model
- Which sort of risk model is best?
- How much structure is needed?
- How to test risk models
11:00 Morning Break - coffee and informal discussions
11:30 Optimisers and portfolio construction
- What are the problems of optimisation? When should you use it?
- Techniques for overcoming the problems
- Black-Litterman, Bayesian techniques and forecast auditing
- Moving away from mean - variance - other measures of risk
13:45 Alternative weighting schemes - different places to start
- The fallacy of the best weighting scheme and why you can't use backtests to prove one technique is better than another
- A review of other weighting schemes
- What can we use to see which approaches are better?
- How to add factor tilts to a portfolio
15:00 Afternoon Break - coffee and informal discussions
15:30 Putting it all together
- Application to current issues
17:00 Q&A - opportunity for further technical questions